Did a quick research, there doesn't seem to be a scientific consensus on which oil is healthier. The few articles are found don't have a clear consensus (https://www.bbc.com/future/article/20200903-which-cooking-oil-is-the-healthiest)
Another 2023 study involving 12,000 people followed for up to 11 years found that consuming up to 1.5 tablespoons of virgin olive oil per day was associated with a third lower risk of death, and half the risk of death due to cardiovascular disease. However, this wasn't the case for olive oil. But since this was a population study, researchers aren't able to fully separate cause and effect.
But while numerous studies suggest it's a healthy choice of oil, researchers have argued that the quality of avocado oil can differ depending on how ripe the avocado is and how oil is extracted from it.
However, a 2020 review of studies looking into the effects of sesame oil on our health found that there is some evidence to suggest it may improve certain biomarkers (levels in our blood that indicate risk of developing certain diseases). However, the evidence base is weak, and more studies are needed.
However, in 2017, scientists published their findings after feeding canola oil-rich diet to mice, and concluded that they gained much more weight than mice who stuck to a canola oil-free diet. It also led to deficits in the memories of the canola oil mice. They concluded that their findings don't support other studies showing that regularly consuming canola oil can be beneficial to our health.
Also, other factors come into play, such as fuming temperature. I'm really not the best cook, so if there is any advice on that that would be cool too.
So, what is preferred choice?
Im not european so apologies but my wife believes it healthier to switch around so we use olive, coconut, and avocado but if I had my way we would also use peanut as its super tastey.